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| Vincenzo Costa |
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| ''Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods'' |
| ( 2004, Vol. 3 No.43 ) |
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| In this paper we consider a model of a stochastic two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate parity. |
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| Keywords: |
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| Manuscript Received : Jul 31 2004 | | Manuscript Accepted : Nov 04 2004 |
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